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Monte Carlo Experiments Using gretl: A Primer

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  • Lee C. Adkins

    (Oklahoma State University)

Abstract

Monte Carlo simulations are a very powerful way to demonstrate the basic sampling properties of various statistics in econometrics. The free software package gretl makes these methods accessible to a wide audience of students and practitioners.In this paper I will discuss the basic principles of Monte Carlo simulations and demonstrate how easy they are to do in gretl. Examples include linear regression, confidence intervals, the size and power of t-tests, lagged dependent variable models, heteroscedastic and auto correlated regression models, instrumental variables estimators, binary choice models, and nonlinear least squares. Scripts for all examples are available from the website http://learneconometrics.com/pdf/MCgretl/.

Suggested Citation

  • Lee C. Adkins, 2011. "Monte Carlo Experiments Using gretl: A Primer," Economics Working Paper Series 1103, Oklahoma State University, Department of Economics and Legal Studies in Business.
    • Handle: RePEc:okl:wpaper:1103
    as

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    File URL: https://business.okstate.edu/site-files/docs/ecls-working-papers/OKSWPS1103.pdf
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    References listed on IDEAS

    as
    1. A. Talha Yalta & A. Yasemin Yalta, 2007. "GRETL 1.6.0 and its numerical accuracy," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(4), pages 849-854.
    2. J. Wilson Mixon Jr & Ryan J. Smith, 2006. "Teaching undergraduate econometrics with GRETL," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(7), pages 1103-1107, November.
    3. Barreto,Humberto & Howland,Frank, 2006. "Introductory Econometrics," Cambridge Books, Cambridge University Press, number 9780521843195.
    4. Guy Judge, 1999. "Simple Monte Carlo studies on a spreadsheet," Computers in Higher Education Economics Review, Economics Network, University of Bristol, vol. 13(2), pages 12-14.
    5. Donggyu Sul & Peter C. B. Phillips & Chi‐Young Choi, 2005. "Prewhitening Bias in HAC Estimation," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 67(4), pages 517-546, August.
    6. Lee Adkins, 2014. "Using gretl for Principles of Econometrics, 4th Edition," Economics Working Paper Series 1412, Oklahoma State University, Department of Economics and Legal Studies in Business.
    7. Train,Kenneth E., 2009. "Discrete Choice Methods with Simulation," Cambridge Books, Cambridge University Press, number 9780521747387.
    8. Davidson, Russell & MacKinnon, James G., 1992. "Regression-based methods for using control variates in Monte Carlo experiments," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 203-222.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Monte Carlo; econometrics; gretl; simulations;
    All these keywords.

    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics

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